Details about Benoît B. Mandelbrot

This author is deceased (2010-10-14).

Access statistics for papers by Benoît B. Mandelbrot.

Last updated 2023-02-17. Update your information in the RePEc Author Service.

Short-id: pma1336

Working Papers

2011

1. A Multifractal Model of Asset Returns
   Working Papers, HAL
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1997) View citations (203)
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations (9)
2. Large Deviation Theory and the Distribution of Price Changes
   Working Papers, HAL
3. Multifractality of US Dollar/Deutsche Mark Exchange Rates
   Working Papers, HAL

2001

4. Multifractal Products of Cylindrical Rules
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

2000

5. Cartoons of the Variation of Financial Prices and of Brownian Motions in Multifractal Time
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)

1999

6. Survey of Multifractality in Finance
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)

1997

7. Large Deviations and the Distribution of Price Changes
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (39)
8. Multifractality of Deutschemark/US Dollar Exchange Rates
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (38)

Journal Articles

2005

1. Parallel cartoons of fractal models of finance
   Annals of Finance, 2005, 1, (2), 179-192 View citations (4)
2. The inescapable need for fractal tools in finance
   Annals of Finance, 2005, 1, (2), 193-195 View citations (1)

2003

3. Fractal geometry of critical Potts clusters
   The European Physical Journal B: Condensed Matter and Complex Systems, 2003, 34, (4), 479-487 View citations (1)

2001

4. Scaling in financial prices: I. Tails and dependence
   Quantitative Finance, 2001, 1, (1), 113-123 View citations (19)
5. Scaling in financial prices: II. Multifractals and the star equation
   Quantitative Finance, 2001, 1, (1), 124-130 View citations (10)
6. Scaling in financial prices: III. Cartoon Brownian motions in multifractal time
   Quantitative Finance, 2001, 1, (4), 427-440 View citations (12)
7. Scaling in financial prices: IV. Multifractal concentration
   Quantitative Finance, 2001, 1, (6), 641-649 View citations (10)
8. Stochastic volatility, power laws and long memory
   Quantitative Finance, 2001, 1, (6), 558-559 View citations (23)

1999

9. Renormalization and fixed points in finance, since 1962
   Physica A: Statistical Mechanics and its Applications, 1999, 263, (1), 477-487 View citations (3)

1996

10. Alternative micropulses and fractional Brownian motion
    Stochastic Processes and their Applications, 1996, 64, (2), 143-152 View citations (12)

1995

11. A class of micropulses and antipersistent fractional Brownian motion
    Stochastic Processes and their Applications, 1995, 60, (1), 1-18 View citations (27)

1992

12. Plane DLA is not self-similar; is it a fractal that becomes increasingly compact as it grows?
    Physica A: Statistical Mechanics and its Applications, 1992, 191, (1), 95-107
13. Self-similarity of harmonic measure on DLA
    Physica A: Statistical Mechanics and its Applications, 1992, 185, (1), 77-86 View citations (3)

1991

14. Fractal aggregates, and the current lines of their electrostatic potentials
    Physica A: Statistical Mechanics and its Applications, 1991, 177, (1), 589-592
15. Multifractality of the harmonic measure on fractal aggregates, and extended self-similarity
    Physica A: Statistical Mechanics and its Applications, 1991, 177, (1), 386-393

1990

16. New “anomalous” multiplicative multifractals: Left sided ƒ(α) and the modelling of DLA
    Physica A: Statistical Mechanics and its Applications, 1990, 168, (1), 95-111 View citations (2)

1973

17. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices: Comment
    Econometrica, 1973, 41, (1), 157-59 View citations (19)

1972

18. Correction of an Error in "The Variation of Certain Speculative Prices" (1963)
    The Journal of Business, 1972, 45, (4), 542-43 View citations (2)

1971

19. When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models
    The Review of Economics and Statistics, 1971, 53, (3), 225-36 View citations (168)

1969

20. Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
    International Economic Review, 1969, 10, (1), 82-111 View citations (25)

1967

21. On the Distribution of Stock Price Differences
    Operations Research, 1967, 15, (6), 1057-1062 View citations (148)
22. The Variation of Some Other Speculative Prices
    The Journal of Business, 1967, 40, 393 View citations (144)

1965

23. Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models
    The Journal of Business, 1965, 39, 242 View citations (6)

1964

24. Random Walks, Fire Damage Amount and Other Paretian Risk Phenomena
    Operations Research, 1964, 12, (4), 582-585 View citations (2)

1963

25. New Methods in Statistical Economics
    Journal of Political Economy, 1963, 71, (5), 421 View citations (193)
26. The Variation of Certain Speculative Prices
    The Journal of Business, 1963, 36, 394 View citations (1872)
    See also Chapter The Variation of Certain Speculative Prices, World Scientific Book Chapters, 2015, 39-78 (2015) (2015)

1962

27. Paretian Distributions and Income Maximization
    The Quarterly Journal of Economics, 1962, 76, (1), 57-85 View citations (31)

Chapters

2015

1. The Variation of Certain Speculative Prices
   Chapter 3 in THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, 2015, pp 39-78
   See also Journal Article The Variation of Certain Speculative Prices, University of Chicago Press (1963) View citations (1872) (1963)

1972

2. Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis
   A chapter in Annals of Economic and Social Measurement, Volume 1, number 3, 1972, pp 259-290 View citations (162)